@article{econhot_econhot-reading-21,
  title = {Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation},
  author = {Robert F. Engle},
  journal = {Econometrica},
  year = {1982},
  volume = {50},
  number = {4},
  pages = {987},
  doi = {10.2307/1912773},
  url = {https://doi.org/10.2307/1912773}
}

@article{econhot_econhot-reading-22,
  title = {Co-Integration and Error Correction: Representation, Estimation, and Testing},
  author = {Robert F. Engle and C. W. J. Granger},
  journal = {Econometrica},
  year = {1987},
  volume = {55},
  number = {2},
  pages = {251},
  doi = {10.2307/1913236},
  url = {https://doi.org/10.2307/1913236}
}

@article{econhot_econhot-reading-23,
  title = {Generalized autoregressive conditional heteroskedasticity},
  author = {Tim Bollerslev},
  journal = {Journal of Econometrics},
  year = {1986},
  volume = {31},
  number = {3},
  pages = {307-327},
  doi = {10.1016/0304-4076(86)90063-1},
  url = {https://doi.org/10.1016/0304-4076(86)90063-1}
}

@article{econhot_econhot-reading-24,
  title = {Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models},
  author = {Soren Johansen},
  journal = {Econometrica},
  year = {1991},
  volume = {59},
  number = {6},
  pages = {1551},
  doi = {10.2307/2938278},
  url = {https://doi.org/10.2307/2938278}
}

@article{econhot_econhot-reading-37,
  title = {Pooled Mean Group Estimation of Dynamic Heterogeneous Panels},
  author = {M. Hashem Pesaran and Yongcheol Shin and Ron P. Smith},
  journal = {Journal of the American Statistical Association},
  year = {1999},
  volume = {94},
  number = {446},
  pages = {621-634},
  doi = {10.1080/01621459.1999.10474156},
  url = {https://doi.org/10.1080/01621459.1999.10474156}
}

@article{econhot_econhot-reading-38,
  title = {Macroeconomics and Reality},
  author = {Christopher A. Sims},
  journal = {Econometrica},
  year = {1980},
  volume = {48},
  number = {1},
  pages = {1},
  doi = {10.2307/1912017},
  url = {https://doi.org/10.2307/1912017}
}

@article{econhot_econhot-reading-39,
  title = {Estimation and Inference of Impulse Responses by Local Projections},
  author = {Òscar Jordà},
  journal = {American Economic Review},
  year = {2005},
  volume = {95},
  number = {1},
  pages = {161-182},
  doi = {10.1257/0002828053828518},
  url = {https://doi.org/10.1257/0002828053828518}
}

@article{econhot_econhot-reading-40,
  title = {Forecasting Using Principal Components From a Large Number of Predictors},
  author = {James H Stock and Mark W Watson},
  journal = {Journal of the American Statistical Association},
  year = {2002},
  volume = {97},
  number = {460},
  pages = {1167-1179},
  doi = {10.1198/016214502388618960},
  url = {https://doi.org/10.1198/016214502388618960}
}

@article{econhot_econhot-reading-43,
  title = {The Generalized Dynamic-Factor Model: Identification and Estimation},
  author = {Mario Forni and Marc Hallin and Marco Lippi and Lucrezia Reichlin},
  journal = {Review of Economics and Statistics},
  year = {2000},
  volume = {82},
  number = {4},
  pages = {540-554},
  doi = {10.1162/003465300559037},
  url = {https://doi.org/10.1162/003465300559037}
}

@article{econhot_econhot-reading-44,
  title = {Comparing Predictive Accuracy},
  author = {Francis X. Diebold and Roberto S. Mariano},
  journal = {Journal of Business \& Economic Statistics},
  year = {1995},
  volume = {13},
  number = {3},
  pages = {253-263},
  doi = {10.1080/07350015.1995.10524599},
  url = {https://doi.org/10.1080/07350015.1995.10524599}
}

@article{econhot_econhot-reading-45,
  title = {Tests of Conditional Predictive Ability},
  author = {Raffaella Giacomini and Halbert White},
  journal = {Econometrica},
  year = {2006},
  volume = {74},
  number = {6},
  pages = {1545-1578},
  doi = {10.1111/j.1468-0262.2006.00718.x},
  url = {https://doi.org/10.1111/j.1468-0262.2006.00718.x}
}

@article{econhot_econhot-reading-46,
  title = {Estimating and Testing Linear Models with Multiple Structural Changes},
  author = {Jushan Bai and Pierre Perron},
  journal = {Econometrica},
  year = {1998},
  volume = {66},
  number = {1},
  pages = {47},
  doi = {10.2307/2998540},
  url = {https://doi.org/10.2307/2998540}
}

@article{econhot_econhot-reading-47,
  title = {A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle},
  author = {James D. Hamilton},
  journal = {Econometrica},
  year = {1989},
  volume = {57},
  number = {2},
  pages = {357},
  doi = {10.2307/1912559},
  url = {https://doi.org/10.2307/1912559}
}

@article{econhot_econhot-reading-52,
  title = {Modeling and Forecasting Realized Volatility},
  author = {Torben G. Andersen and Tim Bollerslev and Francis X. Diebold and Paul Labys},
  journal = {Econometrica},
  year = {2003},
  volume = {71},
  number = {2},
  pages = {579-625},
  doi = {10.1111/1468-0262.00418},
  url = {https://doi.org/10.1111/1468-0262.00418}
}

@article{econhot_econhot-reading-53,
  title = {Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models},
  author = {Ole E. Barndorff-Nielsen and Neil Shephard},
  journal = {Journal of the Royal Statistical Society Series B: Statistical Methodology},
  year = {2002},
  volume = {64},
  number = {2},
  pages = {253-280},
  doi = {10.1111/1467-9868.00336},
  url = {https://doi.org/10.1111/1467-9868.00336}
}

@article{econhot_econhot-reading-54,
  title = {A Tale of Two Time Scales},
  author = {Lan Zhang and Per A Mykland and Yacine Aït-Sahalia},
  journal = {Journal of the American Statistical Association},
  year = {2005},
  volume = {100},
  number = {472},
  pages = {1394-1411},
  doi = {10.1198/016214505000000169},
  url = {https://doi.org/10.1198/016214505000000169}
}

@article{econhot_econhot-reading-55,
  title = {Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise},
  author = {Ole E. Barndorff-Nielsen and Peter Reinhard Hansen and Asger Lunde and Neil Shephard},
  journal = {Econometrica},
  year = {2008},
  volume = {76},
  number = {6},
  pages = {1481-1536},
  doi = {10.3982/ecta6495},
  url = {https://doi.org/10.3982/ecta6495}
}

@article{econhot_econhot-reading-56,
  title = {CAViaR},
  author = {Robert F Engle and Simone Manganelli},
  journal = {Journal of Business \& Economic Statistics},
  year = {2004},
  volume = {22},
  number = {4},
  pages = {367-381},
  doi = {10.1198/073500104000000370},
  url = {https://doi.org/10.1198/073500104000000370}
}

@article{econhot_econhot-reading-58,
  title = {Dynamic Conditional Correlation},
  author = {Robert Engle},
  journal = {Journal of Business \& Economic Statistics},
  year = {2002},
  volume = {20},
  number = {3},
  pages = {339-350},
  doi = {10.1198/073500102288618487},
  url = {https://doi.org/10.1198/073500102288618487}
}

@article{econhot_econhot-reading-59,
  title = {Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?},
  author = {John Y. Campbell and Samuel B. Thompson},
  journal = {Review of Financial Studies},
  year = {2008},
  volume = {21},
  number = {4},
  pages = {1509-1531},
  doi = {10.1093/rfs/hhm055},
  url = {https://doi.org/10.1093/rfs/hhm055}
}

@article{econhot_econhot-reading-60,
  title = {A Comprehensive Look at The Empirical Performance of Equity Premium Prediction},
  author = {Ivo Welch and Amit Goyal},
  journal = {Review of Financial Studies},
  year = {2008},
  volume = {21},
  number = {4},
  pages = {1455-1508},
  doi = {10.1093/rfs/hhm014},
  url = {https://doi.org/10.1093/rfs/hhm014}
}

@article{econhot_econhot-reading-61,
  title = {Regression Shrinkage and Selection Via the Lasso},
  author = {Robert Tibshirani},
  journal = {Journal of the Royal Statistical Society Series B: Statistical Methodology},
  year = {1996},
  volume = {58},
  number = {1},
  pages = {267-288},
  doi = {10.1111/j.2517-6161.1996.tb02080.x},
  url = {https://doi.org/10.1111/j.2517-6161.1996.tb02080.x}
}

@article{econhot_econhot-reading-65,
  title = {Bayesian Multivariate Time Series Methods for Empirical Macroeconomics},
  author = {Gary Koop and Dimitris Korobilis},
  journal = {Foundations and Trends® in Econometrics},
  year = {2010},
  volume = {3},
  number = {4},
  pages = {267-358},
  doi = {10.1561/0800000013},
  url = {https://doi.org/10.1561/0800000013}
}

@article{econhot_econhot-reading-66,
  title = {On Gibbs sampling for state space models},
  author = {C. K. CARTER and R. KOHN},
  journal = {Biometrika},
  year = {1994},
  volume = {81},
  number = {3},
  pages = {541-553},
  doi = {10.1093/biomet/81.3.541},
  url = {https://doi.org/10.1093/biomet/81.3.541}
}

@article{econhot_econhot-reading-67,
  title = {Drifts and volatilities: monetary policies and outcomes in the post WWII US},
  author = {Timothy Cogley and Thomas J. Sargent},
  journal = {Review of Economic Dynamics},
  year = {2005},
  volume = {8},
  number = {2},
  pages = {262-302},
  doi = {10.1016/j.red.2004.10.009},
  url = {https://doi.org/10.1016/j.red.2004.10.009}
}